Trend-Following Backtester · Guide · backtest 한국어
equity · NL
PostNL NV backtest
10 trend-following strategies were compared on the full daily history of PostNL NV. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.4%, MDD -30.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.7%, drawdown -94.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.6%, MDD -33.7%, Sharpe 0.36, 9% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.3%p higher than buy and hold, while drawdown improves by 61.2%p (CAGR 2.4%, MDD -30.6%, exposure 11%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=54, threshold=0.23 |
4.6% | -33.7% | 0.36 | 0.14 | 3.6x | 98 | 9% |
| Donchian 채널 돌파 entryN=96, exitN=24 |
3.9% | -44.2% | 0.32 | 0.09 | 2.9x | 50 | 23% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=26, mult=4 |
3.2% | -46.1% | 0.29 | 0.07 | 2.4x | 38 | 18% |
| 볼린저 밴드 돌파 n=67, k=2.1 |
3.3% | -50.2% | 0.27 | 0.07 | 2.5x | 68 | 26% |
| ADX / DI 방향성 period=25, threshold=26 |
2.4% | -30.6% | 0.27 | 0.08 | 1.9x | 54 | 11% |
| SMA 크로스오버 fast=29, slow=61 |
3.5% | -82.3% | 0.26 | 0.04 | 2.6x | 110 | 45% |
| EMA 크로스오버 fast=16, slow=219 |
1.7% | -41.3% | 0.18 | 0.04 | 1.6x | 50 | 41% |
| Supertrend period=10, mult=5 |
0.3% | -71.1% | 0.14 | 0.00 | 1.1x | 74 | 46% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-1.9% | -77.5% | 0.06 | -0.02 | 0.6x | 130 | 47% |
| MACD fast=23, slow=59, signal=35 |
-7.0% | -94.5% | -0.11 | -0.07 | 0.1x | 211 | 52% |
| Buy and hold | -8.7% | -94.9% | -0.04 | -0.09 | 0.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 54-day return is greater than 23%
- Sell — Sell when the 54-day return drops to 23% or below